Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 02 (1D) | Dec 03 (2D) | Dec 04 (3D) | Dec 05 (4D) | Dec 08 (7D) | Dec 09 (8D) | Dec 10 (9D) | Dec 11 (10D) | Dec 12 (11D) | Dec 15 (14D) | Dec 19 (18D) | Dec 26 (25D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 677.542 | 675.119 | 673.26 | 671.693 | 667.916 | 666.848 | 665.845 | 664.896 | 663.993 | 661.507 | 658.577 | 654.148 |
| upper | 689.238 | 691.661 | 693.52 | 695.087 | 698.864 | 699.932 | 700.935 | 701.884 | 702.787 | 705.273 | 708.203 | 712.632 |
| expected move | 5.848 | 8.271 | 10.13 | 11.697 | 15.474 | 16.542 | 17.545 | 18.494 | 19.397 | 21.883 | 24.813 | 29.242 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
